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1answer
191 views

Are Papers and Funds reporting Monthly drawdowns using daily granularity?

I'm curious as to how many academic studies and industry white papers are actually using daily data to report intramonth drawdowns; specifically, when the papers are often reporting monthly signals, ...
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0answers
130 views

Is there such a thing as “sell-off risk” in bond funds?

Popular yet generally academically-grounded commentators such as Annette Thau and Larry Swedroe have claimed that there is the possibility for "sell-off risk" in bond funds. By this they apparently ...
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0answers
63 views

Jensen's alpha with timing activities

Why is Jensen’s Alpha not an appropriate measure of performance anymore, if the fund manager is a perfect market timer as stated for example in the Treynor-Mazuy-model or the Henriksson-Merton-model?
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90 views

how to identify similar assets based only on a few price samples

Using quantitative finances techniques on limited information, how might one go about finding similar(highly correlated) assets whose public information is available? The only data offered on a list ...
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63 views

Assumptions of the One-Fund Theorem

What are the assumptions of the One-Fund Theorem? (You can look it up here for example: https://www.math.washington.edu/~burke/crs/408/fin-proj/mark1.pdf ) Is the assumption that the market offers ...
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17 views

Guranteed Investments Funds

Let's say a GIF's maturity is 10 years and an investor gets a 10% coupon each year if Eonia is higher than the original date (Day 0). When they say 10% coupon, is is it 0.1*"What I invested in Day 0" ...